A Fast Algorithm for S-Regression Estimates

  title={A Fast Algorithm for S-Regression Estimates},
  author={Matı́as SALIBIAN-BARRERA and Vı́ctor J. YOHAI},
  • Matı́as SALIBIAN-BARRERA, Vı́ctor J. YOHAI
  • Published 2006
Equivariant high-breakdown point regression estimates are computationally expensive, and the corresponding algorithms become unfeasible for moderately large number of regressors. One important advance to improve the computational speed of one such estimator is the fast-LTS algorithm. This article proposes an analogous algorithm for computing S-estimates. The new algorithm, that we call “fast-S”, is also based on a “local improvement” step of the resampling initial candidates. This allows for a… CONTINUE READING

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